Citibank 2011 Annual Report Download - page 121

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The table below provides the range of market factor VARs, inclusive of
specific risk, that was experienced during 2011 and 2010.
2011 
In millions of dollars Low High ,OW (IGH
)NTERESTæRATE $187 $322  
&OREIGNæEXCHANGE 34 105  
%QUITY 26 86  
#OMMODITY 14 36  
The following table provides the VAR for S&B during 2011 excluding the
CVA relating to derivative counterparties CVA and hedges of CVA.
In millions of dollars Dec. 31, 2011
Total—all market risk
factors, including
general and specific risk $144
!VERAGEDURINGæYEAR $153
(IGHDURINGæYEAR 205
,OWDURINGæYEAR 104
Stress Testing
Stress testing is performed on trading portfolios on a regular basis to estimate
the impact of extreme market movements. It is performed on both individual
trading portfolios and on aggregations of portfolios and businesses.
Independent market risk management, in conjunction with the businesses,
develops both systemic and specific stress scenarios, reviews the output of
periodic stress-testing exercises, and uses the information to make judgments
as to the ongoing appropriateness of exposure levels and limits.
Factor Sensitivities
Factor sensitivities are expressed as the change in the value of a position for
a defined change in a market risk factor, such as a change in the value of a
Treasury bill for a one-basis-point change in interest rates. Citi’s independent
market risk management ensures that factor sensitivities are calculated,
monitored, and in most cases, limited, for all relevant risks taken in a
trading portfolio.